Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0019
Annualized Std Dev 0.1596
Annualized Sharpe (Rf=0%) -0.0119

Row

Daily Return Statistics

Close
Observations 5421.0000
NAs 1.0000
Minimum -0.1571
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0044
Maximum 0.1506
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0101
Skewness -1.3161
Kurtosis 38.1690

Downside Risk

Close
Semi Deviation 0.0076
Gain Deviation 0.0071
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0076
Downside Deviation (0%) 0.0076
Maximum Drawdown 0.6534
Historical VaR (95%) -0.0139
Historical ES (95%) -0.0246
Modified VaR (95%) -0.0122
Modified ES (95%) -0.0122
From Trough To Depth Length To Trough Recovery
2007-01-29 2008-12-16 NA -0.6534 3562 477 NA
1999-10-07 2000-05-26 2003-06-13 -0.2033 920 161 759
2004-02-24 2004-05-13 2005-06-09 -0.1647 327 57 270
2003-07-01 2003-08-14 2004-01-26 -0.1126 144 32 112
2006-08-30 2006-09-25 2006-11-30 -0.0985 65 18 47

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 NA NA NA NA NA NA NA 0 0 2.7 1.5 -0.5 3.7
2000 -0.5 0.9 0.5 0.5 0 1 0 1.5 -1.5 -1 -0.5 0.9 1.8
2001 -0.9 2.4 -0.7 -0.1 0 0.1 0.3 -0.2 0.3 -0.4 0 0.6 1.3
2002 0 0.5 -0.6 0.7 -0.1 -0.7 0.4 -0.2 1.2 -0.3 0.1 0 1
2003 -0.1 0.2 0.2 1.2 0.1 -0.1 -1.4 0 0.4 0.3 -0.1 1.3 2.1
2004 -1.1 -1 -0.2 -0.7 0.4 0 0.8 0.6 -0.1 -0.5 0.6 0.3 -1
2005 0.5 0.3 0.6 0.8 -0.1 0.7 -0.6 0.2 0.6 -0.5 0.7 0.3 3.5
2006 -0.2 -1.3 -0.7 0.5 0.3 0.2 0.7 -1.2 -0.3 0.5 0.2 0.6 -0.7
2007 -0.7 -0.4 -0.1 0.8 -0.4 0.9 -0.7 1.1 0.9 -0.2 0.3 0.6 2.1
2008 -0.3 -0.8 2.3 0.6 -0.3 1 0 -0.2 1.6 -0.2 1.1 0.4 5.2
2009 0.3 -1.1 -0.5 0.7 -0.6 0.2 0.5 0.8 -0.3 0.8 0 0.4 1
2010 0 1.2 0.9 0.3 0.7 0 0.2 -0.4 0.6 -0.2 -1.3 2.8 4.8
2011 0.6 0.8 0.8 0 -0.2 0.9 1.8 0.4 0.4 -0.1 0.7 0 6.2
2012 0.4 1.3 0.9 -0.1 0.5 0.8 -0.1 0.1 1.1 -0.5 0.2 0.3 4.9
2013 0.7 0.6 0.1 -0.1 -2.6 0.5 -0.5 -0.2 0.3 -1.3 0.3 -1.7 -3.7
2014 0.2 0.2 -0.5 0.7 -0.2 -0.2 -0.4 0.2 0.5 -0.3 0.5 0.5 1
2015 0.7 0.9 0.3 -0.5 0.7 0.1 0.7 0.2 -0.1 0.6 0.5 0.7 4.9
2016 0.4 0.3 0.4 0.7 1.2 -0.3 0.1 0.1 0.3 0.6 -0.7 0.2 3.4
2017 -0.1 -0.4 0.3 -0.3 0.4 -0.4 0.6 0.1 -0.1 0.2 0 -0.4 0
2018 -0.4 -0.2 0.5 0 0 -0.1 0.3 0 0.7 0.3 0.3 0.4 1.9
2019 0.3 -0.1 0.1 0.3 0.1 -0.6 0.3 -0.5 0 -0.1 0.5 0.1 0.4
2020 0.2 -2.6 -2.5 0.5 0.6 0.5 0.3 0.5 0.5 0 1.6 0.6 0.3
2021 -0.1 0.4 -0.3 NA NA NA NA NA NA NA NA NA -0.1

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart